S Options History — February 2022

In February 2022, S traded between $34.32 and $46.61. ATM implied volatility averaged 92.5%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded above realized volatility by 11.4% (HV 20d: 81.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.48.

Notable Days

  • 2022-02-16: Highest Volume — 12,698 contracts
  • 2022-02-23: Largest IV spike — 9.0% change
  • 2022-02-24: Highest IV Rank — 54.1%
  • 2022-02-24: Largest Expected Move — 31.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.44$34.32$46.61$46.61$41.32
Max Pain$46.05$45.00$50.00$45.00$45.00
ATM IV92.5%82.0%110.2%82.7%106.9%
Expected Move26.8%23.5%31.6%23.7%30.7%
HV 20d81.1%69.2%98.5%78.0%98.5%
HV 60d78.0%75.1%82.7%78.8%80.5%
IV Rank43.1%36.5%54.1%36.9%52.0%
IV Percentile79.4%69.4%90.5%71.4%87.7%
Term Structure-6.0%-16.5%4.7%4.6%-16.5%
VWIV92.9%82.9%110.1%84.1%104.7%
Skew 25d7.0%4.7%9.4%6.0%9.1%
Skew 10d12.5%8.3%17.5%13.7%17.5%
Call IV 25d90.7%81.1%107.5%81.1%101.8%
Put IV 25d97.7%86.5%112.9%87.1%110.9%
Bid-Ask Spread %45.6010.8358.6310.8348.47
Gamma HHI0.200.160.300.160.24
Net GEX884.6K266.5K1.3M1.3M725.5K
Net DEX-16.8M-39.4M15.1M-39.4M-10.5M
Net VEX-344.5K-415.0K-212.7K-415.0K-295.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.060.790.790.32
Total Volume4,115.3681,75312,6984,6053,176
Total OI63,350.10550,84772,83562,65254,349

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$46.61$45.0082.7%23.7%78.0%36.9%84.1%6.0%4.6%1.3M-39.4M-415.0K0.7910.83N/AN/A2,5772,02845,45917,193
2022-02-02$43.90$45.0082.0%23.5%80.3%36.5%83.2%4.7%4.7%1.0M-24.9M-388.0K0.6953.43N/AN/A1,09475846,46218,181
2022-02-03$41.04$45.0087.8%26.0%81.2%40.1%89.9%6.0%-4.6%724.4K-10.3M-351.1K0.7150.93N/AN/A1,26690346,64218,357
2022-02-04$43.03$45.0082.4%25.4%83.1%36.8%87.1%7.2%-4.5%883.6K-19.0M-371.1K0.4456.40N/AN/A1,21853546,91418,583
2022-02-07$43.68$45.0087.2%25.8%82.6%39.7%89.2%7.0%-4.6%954.4K-21.5M-368.8K0.5149.91N/AN/A2,6981,36847,05318,606
2022-02-08$43.56$45.0084.0%25.5%81.9%37.7%87.4%7.7%-4.0%911.4K-18.7M-367.2K0.5254.27N/AN/A1,54279647,28719,188
2022-02-09$46.55$45.0086.0%24.6%81.8%39.0%82.9%8.5%-3.8%1.3M-36.2M-393.6K0.4054.21N/AN/A2,48398647,23019,337
2022-02-10$45.98$45.0088.1%25.3%81.1%40.3%87.5%7.0%-5.3%1.3M-34.1M-390.5K0.4850.17N/AN/A2,6241,26547,73919,237
2022-02-11$44.86$45.0090.4%25.9%70.5%41.7%91.0%7.3%-4.8%1.1M-28.3M-382.5K0.5357.16N/AN/A1,46277748,06319,316
2022-02-14$44.23$45.0092.2%26.4%70.7%42.9%90.4%8.5%-6.7%998.8K-22.9M-364.8K0.6155.68N/AN/A1,36082748,11619,439
2022-02-15$45.69$45.0090.2%25.9%69.2%41.6%89.6%6.6%-5.8%1.2M-28.7M-371.6K0.7751.05N/AN/A1,29099048,30919,545
2022-02-16$45.27$45.0088.8%25.5%69.2%40.7%88.5%6.3%-1.7%1.1M-26.3M-364.7K0.0648.43N/AN/A11,94575348,35319,610
2022-02-17$41.46$50.0092.3%26.5%76.3%42.9%91.2%8.0%-4.1%613.8K-9.6M-340.8K0.3958.63N/AN/A3,3621,31450,49019,654
2022-02-18$39.05$45.0097.8%28.0%78.5%46.3%98.9%5.8%-8.2%733.7K-1.5M-325.6K0.5337.33N/AN/A2,8231,50152,92019,915
2022-02-22$37.73$50.0099.2%28.4%79.2%47.2%101.6%9.4%-8.5%501.5K1.0M-290.6K0.3241.02N/AN/A7,7262,49338,49216,748
2022-02-23$34.32$50.00108.1%31.0%84.3%52.7%106.3%7.5%-13.2%266.5K15.1M-212.7K0.4221.74N/AN/A2,00784534,78616,061
2022-02-24$39.21$50.00110.2%31.6%97.6%54.1%110.1%5.4%-15.8%516.2K-675.2K-273.5K0.2323.47N/AN/A5,1811,20835,55716,247
2022-02-25$38.93$45.00101.7%29.2%96.9%48.8%101.7%5.6%-10.8%614.3K-2.1M-277.5K0.4043.25N/AN/A2,15485737,59616,618
2022-02-28$41.32$45.00106.9%30.7%98.5%52.0%104.7%9.1%-16.5%725.5K-10.5M-295.3K0.3248.47N/AN/A2,41276437,56916,780